An FX call on the euro has an exercise price of 1.12 $/ and the current FX

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An FX call on the euro has an exercise price of 1.12 $/€ and the current FX rate is 1.15$/€. There are 36 days until expiration. The volatility of the euro is 17%. Assume the US rate is 4% and the euro rate is 2%. What is the value of this call?

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Introduction to Derivatives and Risk Management

ISBN: 978-1305104969

10th edition

Authors: Don M. Chance

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Posted Date: Mar 16, 2022 05:26 AM

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An FX call on the euro has an exercise price of 1.12 $/ and the current FX

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Value of call is 00435 euro A 1 Input Data 2 Stock Price no... View the full answer

Introduction to Derivatives and Risk Management

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